Interpolation of Martingales

David Heath

doi:10.1214/aop/1176995723

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Home > Journals > Ann. Probab. > Volume 5 > Issue 5 > Article

October, 1977 Interpolation of Martingales

David Heath

Ann. Probab. 5(5): 804-806 (October, 1977). DOI: 10.1214/aop/1176995723

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Abstract

We show that every discrete-time martingale can be interpolated to give a continuous, continuous-time martingale, and provide a necessary and sufficient condition for the existence of an interpolated martingale with no flat spots.